Fitch Ratings has downgraded the ratings of both outstanding classes of
The Rating Outlooks are Negative. Fitch has also affirmed the ratings of all outstanding classes of
RATING ACTIONS
Entity / Debt
Rating
Prior
A-3 63939DAC9
LT
AAAsf
Affirmed
AAAsf
B 63939DAD7
LT
Asf
Affirmed
Asf
A-2 63939FAB6
LT
Asf
Downgrade
AAsf
B 63939FAC4
LT
Asf
Downgrade
A+sf
A-3 63938EAC8
LT
BBsf
Affirmed
BBsf
A-4 63938EAD6
LT
Asf
Affirmed
Asf
B 63938EAE4
LT
BBsf
Affirmed
BBsf
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VIEW ADDITIONAL RATING DETAILS
Transaction Summary
The class A-4 notes have been affirmed at 'Asf' due to the transaction's increased maturity risk. The rating of this class is maintained at no more than two rating categories above the preceding senior notes, consistent with Fitch's rating criteria. The class B notes have been affirmed at 'BBsf', as this rating is constrained by the rating of the class A-3 notes. The Rating Outlook for all the notes remains Negative, reflective of the possibility of further negative rating pressure in the next one to two years if the remaining term continues to increase.
The model-implied rating is within one rating category of the current rating, as permitted by Fitch's Federal Family Education Loan Program (FFELP) rating criteria. The class B notes pass credit and maturity stresses for their respective ratings with low maturity risk and sufficient hard CE. The Outlooks on the notes remain Stable.
The ratings are within the two category tolerance of the model-implied rating for surveillance for maturity stress failure with more than seven years remaining to maturity with a legal final maturity date for the class A-2 notes of
KEY RATING DRIVERS
Collateral Performance: For all transactions, Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, defaults have remained in line with expectations, while consolidation from the Public Service Loan Forgiveness Program is driving the short-term inflation of CPR. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the '
The trailing-12-month (TTM) levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 5.35% (5.66% at
The TTM levels of deferment, forbearance, and IBR are 6.04% (6.27% at
The TTM levels of deferment, forbearance, and IBR are 4.90% (5.56% at
Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent distribution date, for
For
Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and for the class A notes, subordination. As of the most recent collection period, Fitch's senior parity ratios (including the reserve) are 110.99% (9.90% CE), 110.37% (9.40% CE) and 108.85% (8.13% CE) for
Liquidity support is provided by a reserve account currently sized their floors of
Operational Capabilities: Day-to-day servicing is provided by
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the
This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.
Current Ratings: class A-3 'BBsf'; class A-4 'Asf'; class B 'BBsf'.
Current Model-Implied Ratings: class A-3 'Asf' (Credit Stress) / 'Bsf' (Maturity Stress); class A-4 'Asf' (Credit Stress) / 'BBBsf' (Maturity Stress); class B 'Asf' (Credit Stress) / 'AAAsf' (Maturity Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A-3 'BBsf'; class A-4 'Asf'; class B 'BBsf';
Default increase 50%: class A-3 'BBsf'; class A-4 'Asf'; class B 'BBsf';
Basis spread increase 0.25%: class A-3 'BBsf'; class A-4 'Asf'; class B 'BBsf';
Basis spread increase 0.50%: class A-3 'BBsf; class A-4 'Asf'; class B 'BBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A-3 'CCCsf'; class A-4 'CCCsf'; class B 'BBsf';
CPR decrease 50%: class A-3 'CCCsf'; class A-4 'CCCsf'; class B 'BBsf';
IBR usage increase 25%: class A-3 'CCCsf'; class A-4 'BBBsf'; class B 'BBsf';
IBR usage increase 50%: class A-3 'CCCsf; A-4 'BBsf'; class B 'BBsf';
Remaining Term increase 25%: class A-3 'CCCsf'; class A-4 'Bsf'; class B 'BBsf';
Remaining Term increase 50%: class A-3 'CCCsf'; class A-4 'CCCsf'; class B 'BBsf'.
Current Ratings: class A-3 'AAAsf'; class B 'Asf'.
Current Model-Implied Ratings: class A-3 'AAsf' (Credit Stress) / 'AAAsf' (Maturity Stress); class B 'Asf' (Credit Stress) / 'AAAsf' (Maturity Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAsf'; class B 'BBBsf';
Default increase 50%: class A 'AAsf'; class B 'BBBsf';
Basis spread increase 0.25%: class A 'AAsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'AAsf; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'Asf';
CPR decrease 50%: class A 'AAAsf'; class B 'Asf';
IBR usage increase 25%: class A 'AAAsf'; class B 'Asf';
IBR usage increase 50%: class A 'AAsf; class B 'Asf';
Remaining Term increase 25%: class A 'AAAsf'; class B 'Asf';
Remaining Term increase 50%: class A 'AAsf'; class B 'BBBsf'.
Current Ratings: class A-2 'Asf'; class B 'Asf'.
Current Model-Implied Ratings: class A-2 'Asf' (Credit Stress) / 'BBsf' (Maturity Stress); class B 'BBBsf' (Credit Stress) / 'AAAsf' (Maturity Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'BBBsf'; class B 'BBBsf';
Default increase 50%: class A 'BBBsf'; class B 'BBBsf';
Basis spread increase 0.25%: class A 'Asf'; class B 'BBBsf';
Basis spread increase 0.50%: class A 'Asf; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'CCCsf'; class B 'Asf';
CPR decrease 50%: class A 'CCCsf'; class B 'Asf';
IBR usage increase 25%: class A 'BBsf'; class B 'Asf';
IBR usage increase 50%: class A 'Bsf; class B 'Asf';
Remaining Term increase 25%: class A 'CCCsf'; class B 'Asf';
Remaining Term increase 50%: class A 'CCCsf'; class B 'Asf'.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Credit Stress Sensitivity
Default decrease 25%: class A-3 'AAsf'; class A-4 'AAsf'; class B 'Asf';
Basis Spread decrease 0.25%: class A-3 'Asf'; class A-4 'Asf'; class B 'Asf'.
Maturity Stress Sensitivity
CPR increase 25%: class A-3 'Asf'; class A-4 'Asf'; class B 'AAAsf';
IBR usage decrease 25%: class A-3 'BBsf'; class A-4 'Asf'; class B 'AAAsf';
Remaining Term decrease 25%: class A-3 'Asf'; class A-4 'AAAsf'; class B 'AAAsf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'AAAsf'; class B 'AAsf';
Basis Spread decrease 0.25%: class A 'AAsf'; class B 'Asf'.
Maturity Stress Sensitivity
CPR increase 25%: class A 'AAAsf'; class B 'AAAsf';
IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining Term decrease 25%: class A 'AAAsf'; class B 'AAAsf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'Asf'; class B 'Asf';
Basis Spread decrease 0.25%: class A 'Asf'; class B 'BBBsf'.
Maturity Stress Sensitivity
CPR increase 25%: class A 'Asf'; class B 'AAAsf';
IBR usage decrease 25%: class A 'BBBsf'; class B 'AAAsf';
Remaining Term decrease 25%: class A 'AAAsf'; class B 'AAAsf'.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
Additional information is available on www.fitchratings.com
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